Northern Trust (Ireland) Risk Analysis And Volatility Evaluation

IE00BRYG9J40 -- Ireland Fund  

EUR 10.28  0.06  0.59%

We consider Northern Trust unknown risk. Northern Trust Euro has Sharpe Ratio of 0.5 which conveys that Northern Trust Euro had 0.5% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Northern Trust which you can use to evaluate future volatility of the organization. Please verify Northern Trust Euro Fundamental Idx A Mean Deviation of 0.7955 and Risk Adjusted Performance of 0.0017 to check out if risk estimate we provide are consistent with the epected return of 0.1468%.
Horizon     30 Days    Login   to change

Northern Trust Market Sensitivity

As returns on market increase, returns on owning Northern Trust are expected to decrease at a much smaller rate. During bear market, Northern Trust is likely to outperform the market.
One Month Beta |Analyze Northern Trust Euro Demand Trend
Check current 30 days Northern Trust correlation with market (DOW)
β = -0.2178
Northern Trust Almost negative betaNorthern Trust Euro Beta Legend

Northern Trust Euro Technical Analysis

Transformation
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Northern Trust Projected Return Density Against Market

Assuming 30 trading days horizon, Northern Trust Euro Fundamental Idx A has beta of -0.2178 . This indicates as returns on benchmark increase, returns on holding Northern Trust are expected to decrease at a much smaller rate. During bear market, however, Northern Trust Euro Fundamental Idx A is likely to outperform the market. Moreover, Northern Trust Euro Fundamental Idx A has an alpha of 0.0116 implying that it can potentially generate 0.0116% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Northern Trust is 200.0. The daily returns are destributed with a variance of 0.09 and standard deviation of 0.29. The mean deviation of Northern Trust Euro Fundamental Idx A is currently at 0.22. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.0116
β
Beta against DOW=0.22
σ
Overall volatility
=0.29
Ir
Information ratio =0.14

Northern Trust Return Volatility

Northern Trust Euro Fundamental Idx A accepts 0.2936% volatility on return distribution over the 30 days horizon. DOW inherits 0.4541% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Northern Trust Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Northern Trust Investment Opportunity

DOW has a standard deviation of returns of 0.45 and is 1.55 times more volatile than Northern Trust Euro Fundamental Idx A. 2% of all equities and portfolios are less risky than Northern Trust. Compared to the overall equity markets, volatility of historical daily returns of Northern Trust Euro Fundamental Idx A is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use Northern Trust Euro Fundamental Idx A to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of Northern Trust to be traded at €11.31 in 30 days. As returns on market increase, returns on owning Northern Trust are expected to decrease at a much smaller rate. During bear market, Northern Trust is likely to outperform the market.

Northern Trust correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Northern Trust Euro Fundamenta and equity matching DJI index in the same portfolio.

Northern Trust Volatility Indicators

Northern Trust Euro Fundamental Idx A Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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